source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 235 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
Volatility & risk-adjusted return
vs S&P 500 · monthly, same window (11 months)
Only 11 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
Trailing returns · total return (incl. dividends)
Volatility (annualized %, right) and Sharpe (ratio, left), each over a trailing 63-period window from quantlib.performance.rolling.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | -1.44% | -1.86% | -1.51% | -2.18% |
| CVaR (ES) | -1.78% | -2.21% | -1.92% | -2.51% |
| VaR (Cornish-Fisher) | — | — | -1.43% | -2.00% |
Signed daily quantiles (a 5% loss is −5%); CVaR ≤ VaR ≤ 0. The Cornish-Fisher row adjusts the Gaussian VaR for skewness and excess kurtosis (fat tails), so it has no historical counterpart.
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|
| -7.74% | 2026-03-02 | 2026-03-20 | 2026-06-09 | 14 | 45 |
| -7.11% | 2025-08-22 | 2025-11-20 | 2025-12-10 | 63 | 13 |
| -2.84% | 2026-07-24 | 2026-07-29 | ongoing | 3 | — |
| -2.79% | 2025-12-11 | 2025-12-31 | 2026-01-05 | 13 | 2 |
| -2.30% | 2026-06-12 | 2026-06-23 | 2026-07-16 | 6 | 16 |
| -2.12% | 2025-08-13 | 2025-08-20 | 2025-08-22 | 5 | 2 |
| -1.95% | 2026-02-10 | 2026-02-12 | 2026-02-19 | 2 | 4 |
| -1.89% | 2026-01-15 | 2026-01-20 | 2026-01-21 | 2 | 1 |
| -1.84% | 2026-02-20 | 2026-02-23 | 2026-03-02 | 1 | 5 |
| -1.52% | 2026-01-21 | 2026-01-30 | 2026-02-03 | 7 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 10). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
Notes
- benchmark: only 11 paired monthly returns in the window (< 12) — beta/correlation/capture suppressed
